The Economics of Exchange Rates

By Mark P. Taylor. 2002

828 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a102e3d039266c8116c2cf95039cf276f9c43f77

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

The Microstructure Approach to Exchange Rates (2001, unknown): “Figure 6.3 The Issues Spectrum Micro Issues Macro Issues”
A Century of Purchasing-Power Parity (2002, unknown): “…emerging literature exploits more data and higher-powered techniques, and claims that, in the long run, PPP does indeed hold: it appears from these studies that real exchange rates exhibit mean reversion with half-life of deviations of four to five years (M. P. Taylor, 1995; Froot & Rogoff, 1995).”
Is Official Exchange Rate Intervention Effective (2004, unknown): “More recently, however, Kilian and Taylor (2002) have suggested that nonlinearities in both the nominal and the real exchange rate may be due to diversity of opinion in the foreign exchange market, since as the exchange rate deviates further from the equilibrium level a greater degree of consensus w”
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, unknown): “Empirical studies based on the estimation of Equation (2), for a large variety of currencies and time periods, generally report results which reject UIP (e.g., see the references in the survey of Hodrick, 1987; Lewis, 1995; Taylor, 1995; Engel, 1996; Sarno, 2005).”
Testing the monetary model of exchange rate determination: a closer look at panels (2004, methodology): “Following Taylor and Sarno (1998), we then test the null hypothesis that ρi = 0 for all i using a Wald test.”
Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons (2015, background): “…onexchange rate markets, see e.g. Levich (1985), Baillie and McMahon (1989), Baillie and Bollerslev (1990), Baillie and Bollersv (1994), Frankel and Rose (1995), Froot and Rogoff (1995), Isard (1995), Obstfeld and Rogoff (1996), Mark (2001), Sarno and Taylor (2002) and Kilian and Taylor (2003).”
Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar (2006, unknown): “[72] Sarno, Lucio and Taylor Mark (2003).”
Optimal Currency Areas: Why Does the Exchange Rate Regime Matter? (2000, unknown): “I will just refer to a small selection, covering a range of views and approaches: Fama (1984); Hakkio and Rush (1989); MacDonald and Taylor (1992); Dutt (1994); Crowder (1994); Taylor (1995); Dutt and Ghosh (1995); Zietz (1995); Lajaunie, McManis and Naka (1996).”
The Economics of Exchange Rates (2004, background): “1 SeeClarida,Sarno,TaylorandValente (2001)andKilianandTaylor (2001) for recent contributionson forecasting exchange rates and attempts to beat a random walk forecast.”
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 (2000, background): “…& Francis Ltd http://www.tandf.co.uk/journals/tf/13504851.htm l Applied Economics L etters, 2000, 7, 285 ± 291 285 1 For surveys of this literature see Taylor (1995) , Rogo (1996) and Taylor and Sarno (1998a , Chapter 3). equilibrium, illustrating how the adoption of linear nonstationarity tests…”